Division 1: Calculation of the Basic Solvency Capital Requirement - Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (recast) (Text with EEA relevance)

The Basic Solvency Capital Requirement set out in Article 104(1) shall be equal to the following:

Basic SCR = \sqrt{\sum_{i,j} {Corr}_{i,j} \times {SCR}_{i} \times {SCR}_{j}}

where SCR_i denotes the risk module i and SCR_j denotes the risk module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCR_i and SCR_j are replaced by the following:

SCR _non-life denotes the non-life underwriting risk module,
SCR _life denotes the life underwriting risk module,
SCR _health denotes the health underwriting risk module,
SCR _market denotes the market risk module,
SCR _default denotes the counterparty default risk module,

The factor Corr _i,j denotes the item set out in row i and in column j of the following correlation matrix:

ji	Market	Default	Life	Health	Non-life
Market	1	0,25	0,25	0,25	0,25
Default	0,25	1	0,25	0,25	0,5
Life	0,25	0,25	1	0,25	0
Health	0,25	0,25	0,25	1	0
Non-life	0,25	0,5	0	0	1

Division 1 Calculation of the Basic Solvency Capital Requirement